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Positive finite difference schemes for a partial integro-differential option pricing model

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Positive finite difference schemes for a partial integro-differential option pricing model

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Fakharany, M.; Company Rossi, R.; Jódar Sánchez, LA. (2014). Positive finite difference schemes for a partial integro-differential option pricing model. Applied Mathematics and Computation. 249:320-332. doi:10.1016/j.amc.2014.10.064

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/50839

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Title: Positive finite difference schemes for a partial integro-differential option pricing model
Author:
UPV Unit: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Issued date:
Abstract:
[EN] This paper provides a numerical analysis for European options under partial integro-differential Bates model. An explicit finite difference scheme has been used for the differential part, while the integral part has ...[+]
Subjects: Partial integro-differential equation , Bates model , Numerical analysis , Stability and positivity
Copyrigths: Reserva de todos los derechos
Source:
Applied Mathematics and Computation. (issn: 0096-3003 )
DOI: 10.1016/j.amc.2014.10.064
Publisher:
Elsevier
Publisher version: http://dx.doi.org/10.1016/j.amc.2014.10.064
Project ID: info:eu-repo/grantAgreement/EC/FP7/304617
Thanks:
This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) ...[+]
Type: Artículo

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